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US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR JUN 19

EST IMPLIED VOLATILITY/AVG ATM OPTIONS VIA BLOOMBERG, (All Times ET)
            USN    USU     TYN    TYU     FVN    FVU     EDN     EDU
9:45      12.15%  7.75%   7.75%  4.47%   5.69%  3.05%   34.38%  27.65%
WED OPEN  12.22%  7.82%   7.90%  4.52%   5.83%  3.09%   34.40%  27.35%
TUE 1500  10.58%  7.73%   7.01%  4.59%   5.30%  3.10%   33.68%  28.07%
TUE OPEN  11.17%  8.17%   7.00%  4.82%   5.25%  3.29%   38.20%  30.80%
MON 1500   9.85%  7.90%   6.37%  4.65%   4.64%  3.15%   37.02%  30.38%
MON OPEN   9.83%  7.83%   6.35%  4.65%   4.67%  3.18%   38.60%  30.33%
LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL   CHANGE
JUL19 10Y NOTE  126.00 C   74,104   -1,082   124.00 P  100,220     UNCH
SEP19 10Y NOTE  126.00 C   34,883     +278   119.50 P  168,188  +75,000
JUL19 5Y NOTE   117.75 C   56,480   -5,823   116.50 P   87,186   +1,011
SEP19 5Y NOTE   117.75 C   16,693     -243   106.50 P   80,403     UNCH
JUL19 2Y NOTE   107.00 C    8,592     UNCH   106.25 P   14,653     UNCH
SEP19 2Y NOTE   107.75 C    7,844     UNCH   107.00 P   23,578       +3
JUL19 EURODLR    98.00 C  237,252  -21,113    97.75 P  184,812   +3,958
SEP19 EURODLR    98.25 C  603,604   +8,500    97.50 P  811,654   -2,875
SEP19 1Y-MIDC    98.12 C  142,859     UNCH    97.75 P  150,035   +6,290
SEP20 2Y-MIDC    98.00 C  102,680     UNCH    97.12 P   74,826     UNCH
SEP21 3Y-MIDC    98.00 C  125,307     UNCH    97.50 P   57,763     UNCH
NEAREST ATM:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL   CHANGE
JUL19 10Y NOTE  127.00 C   47,164     -537   127.00 P   29,191   +2,916
JUL19 10Y NOTE  127.50 C   35,366   -7,362   127.50 P   11,367   +7,629
SEP19 10Y NOTE  127.00 C   23,762     -525   127.00 P   13,698     +270
SEP19 10Y NOTE  127.50 C   20,260     +844   127.50 P   10,640     +632
JUL19 5Y NOTE   117.50 C   47,553     +276   117.50 P   21,204   +1,796
JUL19 5Y NOTE   117.75 C   56,480   -5,823   117.75 P   11,857   +2,583
SEP19 5Y NOTE   117.50 C   15,526      +60   117.50 P    7,149      +52
SEP19 5Y NOTE   117.75 C   16,693     -243   117.75 P   15,864     +171
JUL19 2Y NOTE   107.38 C    4,090     UNCH   107.38 P    2,775     +918
JUL19 2Y NOTE   107.50 C    5,613   +2,008   107.50 P    2,848     UNCH
SEP19 2Y NOTE   107.38 C    1,131     UNCH   107.38 P    1,075       +1
SEP19 2Y NOTE   107.50 C      551     +122   107.50 P      483     +121
JUL19 EURODLR    97.75 C  128,095     -153    97.75 P  184,812   +3,958
JUL19 EURODLR    97.87 C  220,863   -6,500    97.87 P  101,529  +10,407
SEP19 EURODLR    97.75 C  307,813  -12,986    97.75 P  292,515   -2,198
SEP19 EURODLR    97.87 C  532,338   +3,900    97.87 P  109,879  +10,092
SEP20 1Y-MIDC    98.25 C  133,797   -1,000    98.25 P   44,036   -2,140
SEP20 1Y-MIDC    98.37 C  101,250  -12,550    98.37 P   45,754     UNCH
SEP21 2Y-MIDC    98.25 C   59,580  +27,300    98.25 P   12,069     +271
SEP21 2Y-MIDC    98.37 C   50,341  +22,633    98.37 P   13,564      +36
SEP22 3Y-MIDC    98.12 C   46,358     UNCH    98.12 P   29,679     UNCH
SEP22 3Y-MIDC    98.25 C  100,000     UNCH    98.25 P    6,794     +300
PUT/CALL RATIO FOR VOLUME CLEARED:
JUN19 10Y NOTE PUT/CALL RATIO   -- 0.84 (107,331 PUTS VS. 126,793 CALLS)
JUL19 10Y NOTE PUT/CALL RATIO   -- 11.9 (383,995 PUTS VS. 32,707 CALLS)
JUN19 5Y NOTE PUT/CALL RATIO    -- 1.28 (58,515 PUTS VS. 45,338 CALLS)
JUL19 5Y NOTE PUT/CALL RATIO    -- 4.63 (26,921 PUTS VS. 5,845 CALLS)
JUN19 2Y NOTE PUT/CALL RATIO    -- 1.06 (6,429 PUTS VS. 6,079 CALLS)
JUL19 2Y NOTE PUT/CALL RATIO    -- 4.89 (4,078 PUTS VS. 833 CALLS)
JUL19 EURODLRS PUT/CALL RATIO   -- 0.56 (50,424 PUTS VS. 88,976 CALLS)
SEP19 EURODLRS PUT/CALL RATIO   -- 0.57 (80,450 PUTS VS. 140,765 CALLS)
JUN20 1Y-MIDCRVE PUT/CALL RATIO -- 1.23 (76,100 PUTS VS. 61,751 CALLS)
JUN21 2Y-MIDCRVE PUT/CALL RATIO -- 0.45 (29,000 PUTS VS. 63,740 CALLS)
JUN22 3Y-MIDCRVE PUT/CALL RATIO -- 0.89 (3,350 PUTS VS. 3,790 CALLS)
(VOLUME, OPEN INTEREST, RATIOS ALL REFLECT PRIOR SESSION'S DATA)
Swaption BP/Vol Via Bloomberg:
Time (ET)   3M/2Y   1M/10Y    3M/5Y   3M/10Y    2Y/10Y    5Y/5Y
9:45        89.43    72.44    78.24    68.45    64.92     67.43
Wed Open    89.16    73.55    78.86    68.84    65.12     67.42
Tue 1500    89.15    73.03    78.77    68.80    65.29     67.63
Tue Open    90.56    72.91    80.38    69.85    65.96     68.28
Mon 1500    88.47    71.84    78.39    68.70    65.80     68.10
Mon Open    92.26    72.74    79.56    69.24    66.68     68.78
--MNI Chicago Bureau; tel: +1 312-431-0089; email: bill.sokolis@marketnews.com
[TOPICS: MTABLE,M$U$$$,M$$FI$,MN$FI$]

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